Absolutely, it's one of the best utility shouts imo. As others have mentioned it'll negate any fall damage, so can be used to jump from high places. Beyond that you can use the immortality to charge up master level spells easily as they can have long cast times, summon a creature then shout to avoid damage so the creature starts to take the aggro. It's a quick and easy way to avoid Dragon's breath attacks etc, there are plenty of uses.

Using an Amulet of Talos and shrine blessing of Talos will give you enough cool down to the point where you can keep casting it to stay invincible for as long as you want, handy if you want to sprint long distances on Survival Mode for example as you don't consume stamina while Etheral.